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Recent Publications

Note: Department of Finance faculty are denoted by *.
Author(s) Title  /  Publication
Editors:
VIRAL V. ACHARYA *
THOMAS F. COOLEY *
MATTHEW P. RICHARDSON *
INGO WALTER *
Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance
New York: John Wiley & Sons, 2010.
 
Editors:
THOMAS F. COOLEY *
INGO WALTER *
Restoring Financial Stability: How to Repair a Failed System
New York: John Wiley & Sons, 2009.
INGO WALTER *
ROY C. SMITH *
GAYLE DELONG
Global Banking (Third Edition)
Oxford University Press, 2009
STEPHEN BROWN * "Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model"
Chapter in A. Lee and C.F. Lee Handbook of Quantitative Finance and Risk Management
Springer, 2009
EDWARD ALTMAN * "The Impact of the U.S. Subprime Crisis on German Financial Institutions"
INSOL, Winter 2008
CAOUETTE, J.
NARAYANAN, P.
NIMMO, R.
EDWARD ALTMAN *
Managing Credit Risk (2nd edition)
John Wiley & Sons, New York 2008
POJARLIEV, MOMTCHIL
RICHARD LEVICH *
"Do Professional Currency Managers Beat the Benchmark?"
Financial Analysts Journal, Sept/Oct 2008, Vol 64, No. 5, pp. 18-32
DAVID YERMACK *
SANDEEP DAHIYA
"You Can't Take It With You: Sunset Provisions for Equity Compensation When Managers Retire, Resign, or Die"
Journal of Corporate Finance, forthcoming in 2008
STIJN VAN NIEUWERBURGH *
MARTIN LETTAU *
"Reconciling the Return Predictability Evidence"
Review of Financial Studies, 2008, Volume 21(4), pp. 1607-1652.
DAVID YERMACK *
RANGARAJAN SUNDARAM *
"Pay Me Later: The Role of Inside Debt in Executive Compensation"
Journal of Finance, 2008, Volume 62(4), pp. 1551-1588.
MARTI SUBRAHMANYAM *
SRIKETAN MAHANTI
AMRUT NASHIKKAR
GEORGE CHACKO
GAURAV MALLIK
"Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds"
Journal of Financial Economics, 2008, Volume 88, pp. 272-298
MARTI SUBRAHMANYAM *
JUSTIN S.P. CHAN
DONG HONG
"A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets"
Journal of Banking and Finance, forthcoming in 2008
ANTHONY SAUNDERS *
D. PALIA
D. KIM
"The Long Run Behavior of Debt and Equity Underwriting Spreads"
Journal of Financial and Quantitative Analysis, forthcoming in 2008
ANTHONY SAUNDERS *
V. IVASHINA
"Bank Debt and Corporate Governance"
Review of Financial Studies, forthcoming in 2008
ANTHONY SAUNDERS *
N. MASSOUD
B. SCHOLNICK
"Economics of Credit Cards, Debt Cards, and ATMs: A Survey and Some New Evidence"
Journal of Banking and Finance, forthcoming in 2008
ANTHONY SAUNDERS *
A. MARCUS
M. CORNETT
H. TEHRANIAN
"The Impact of Institutional Ownership on Corporate Operating Performance"
Journal of Banking and Finance, forthcoming in 2008
ANTHONY SAUNDERS *
M. CORNETT
Financial Institutions Management: A Risk Management Approach, 6th edition
Irwin/McGraw-Hill, 2008
JACOB BOUDOUKH
MATTHEW RICHARDSON *
ROBERT F. WHITELAW
"The Myth of Long-Horizon Predictability"
Review of Financial Studies, 2008, Volume 21(4), pp. 1577-1652
THOMAS PHILIPPON * "The Bond Market's q"
Quarterly Journal of Economics, forthcoming in 2008
THOMAS PHILIPPON *
SIMI KEDIA
"The Economics of Fraudulent Accounting"
Review of Financial Studies, forthcoming in 2008
LASSE HEJE PEDERSEN *
MARKUS BRUNNERMEIER
STEFAN NAGEL
"Carry Trades and Currency Crashes"
National Bureau of Economic Research Macroeconomics Annual, forthcoming in 2008
MARKUS BRUNNERMEIER
LASSE HEJE PEDERSEN *
"Valuation in Over-the-Counter Markets"
Review of Financial Studies, forthcoming in 2008
ANTHONY LYNCH *
S.TAN
"Multiple Risky Assets, Transaction Costs and Return Predictability: Allocation Rules & Implications for U.S. Investors"
Journal of Financial and Quantitative Analysis, conditionally accepted for 2008
C. MALLOY
F. MARST0N
ALEXANDER LJUNGQVIST *
"Rewriting history"
Journal of Finance, forthcoming in 2008
Glucksman Prize for best working paper in finance, 2006
F. MARSTON
W.J. WILHELM
ALEXANDER LJUNGQVIST *
"Scaling the hierarchy: How and why investment banks compete for syndicate co-management appointments"
Review of Financial Studies, forthcoming in 2008
RICHARD LEVICH *
MOMTCHIL POJARLIEV
"Separating Alpha and Beta Returns: A New Benchmark for Currency Managers"
Centre for Economic Policy Research policy portal, at , forthcoming in 2008
AUGUSTIN LANDIER *
VINAY NAIR
Investing in Change: Profit from Responsible Investing
Oxford University Press, June 2008
AUGUSTIN LANDIER *
XAVIER GABAIX *
"Why has CEO pay increased so much?"
Quarterly Journal of Economics, forthcoming in 2008
KOSE JOHN *
AMAR GANDE
LEMMA SENBET
"Bank Incentives, Economic Specialization, and Financial Crises in Emerging Economies"
Journal of International Money and Finance, forthcoming in 2008
KOSE JOHN *
MARTJIN CREMERS
VINAY NAIR
"Takeovers and The Cross-Section of Returns"
Review of Financial Studies, forthcoming in 2008
LUBOMIR LITOV
BERNARD YEUNG
KOSE JOHN *
"Corporate Governance and Corporate Risk Taking
Journal of Finance, forthcoming in 2008
KOSE JOHN *
ZHAOYUN SHANGGUAN
GOPALA VASUDEVAN
"Hot and Cold Merger Markets"
Review of Quantitative Finance and Accounting, forthcoming in 2008
MARK HIRSCHEY
ANIL K. MAKHIJA
KOSE JOHN *
Special Issue on "Corporate Governance," Advandes in Financial Economiics
Volume 13, forthcoming in 2008
JOEL S. HASBROUCK * "Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data"
Journal of Finance, forthcoming in 2008
GIDEON SAAR
JOEL S. HASBROUCK *
"Technology and Liquidity Provision: The Blurring of Traditional Definitions"
Journal of Financial Markets, forthcoming in 2008
MARTIN GRUBER * "Applications of the Markowitz Portfolio Theory to Pension Fund Design"
The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, Ed. John Guerard, Jr. Springer, forthcoming November 2008
XAVIER GABAIX *
AUGUSTIN LANDIER *
ALEX EDMANS
"A Multiplicative Model of Optimal CEO Incentives in Market Equilibrium"
Review of Financial Studies, 2008
XAVIER GABAIX *
GOPIKRISHNAN PARAMESWARAN
VASILIKI PLEROU
H. EUGENE STANLEY
"Quantifying and Understanding the Economics of Large Financial Movements"
Journal of Economic Dynamics and Control, 2008, Volume 32, pp. 303-319
STEPHEN FIGLEWSKI * "Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio"
Festschrift for Robert Engle, forthcoming in 2008
ROBERT ENGLE *
DAVID EASLEY *
MAUREEN O
"Time Varying Arrival Rates of Informed and Uninformed Traders"
Journal of Financial Econometrics, forthcoming in 2008
J. GONZALO RANGEL
ROBERT ENGLE *
"The Spline GARCH Model for Low Frequency Volatility and Its Global Macroeconomic Causes"
Review of Financial Studies, forthcoming in 2008
STEPHEN J. BROWN *
PAUL LAJBCYGIER
BOB LI
"Going Negative: What to Do with Negative Book Equity Stocks"
Journal of Portfolio Management, forthcoming in 2008
THOMAS FRASER
BING LIANG
STEPHEN J. BROWN *
"Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio"
Journal of Investment Management, forthcoming in 2008

WILLIAM GOETZMANN
BING LIANG
CHRISTOPHER SCHWARZ
STEPHEN J. BROWN *
"Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration"
Journal of Finance, forthcoming in 2008
OTTO VAN HEMERT *
RALPH KOIJEN
STIJN VAN NIEUWERBURGH *
"Mortgage Timing"
Journal of Financial Economics, forthcoming in 2008
2007-08 Glucksman Institute Research First Prize